Создан заказ №762602
22 октября 2015
Risk factors based portfolio allocation and its implications for private investors
Как заказчик описал требования к работе:
Hi, as discussed the summary of requirements is summarised below:
I would like to do a paper of about 50ish pages talking about the Risk Factors Portfolio Allocation. Let's call it "Risk factors based portfolio allocation and its implications for private investors".
I do not have any requirements.
However, the paper must be written in your own language, not copypasted. If you quote any particular source it must be referenced. No plagiarism allowed!
The idea is not to invent a new model, but rather to describe where does the academic research stand on this topic, apply it on practice, and point out the week areas.
Regarding the structure, it is quite free. I was thinking about something simple, such as:
1/ Introduction
2/ Theoretical part: What are factors? (Fama-French Model, other models...)
3/ Practical part: How to implement factor based allocation models for private (i.e. wealthy) client/investors? Probably using funds data from bloomberg. I can provide data if needed.
4/ Issues noted (past is not the good prediction of future, frequent rebalancing of portfolio etc)
5/ Conclusion
I would like to receive the ready material on chapter by chapter basis, so that I can review it an make adjustments on the timely basis. If you struggle with model, ideas or conclusions, I'm always available to discuss and give you a hand. I would like the whole paper to be ready, let's say by 5th of December.
I have also selected a bunch of papers from the web to help you get your head around the topic. It is not obligatory to use my sources, I just thought it will help us to be on the same page.
- Good to start on this topic:
An introduction to Risk Factor Portfolios: http://www.actuarialpost.co.uk/article/an-introduction-to-risk-factor-portfolios-5819.htm
RISK FACTOR INVESTING EXPLAINED: http://www.lyxor.com/fileadmin/Lyxor_s_Smart_Beta_Expertise/EXPERT_OPINION_RISK_FACTOR_RONCALLI_GB.pdf
MSCI -Foundations of Factor Investing : https://www.msci.com/resources/pdfs/Foundations_of_Factor_Investing.pdf
Risk Factor Investing Summary of Conference Presentation on 11 June 2015 : http://www.franklintempleton.co.uk/downloadsServlet?docid=ib9a5g6r
PIMCO (Understanding risk factor diversification): https://www.pimco.com/handlers/displaydocument.ashx?id=f/3/WX/Nq4eJ0BfFZfxG/4S302pdOkppFwFrO6+qjDsKMAhhMk5HNVlf69o3KnFzyWhAg9PxVIbivEBSQJK2YYg0NFrZ9n8+3G5idPZ1gPrYt6a03TXW/dMcPzviujM5yi4wfEJ4NmNFnXQEOuvo7sl0q70tB1mBWkO6fGvxSaZDGvsKjt1sutpskuMmrz0DgeSeUseQrfdaxARiIykQ8Sz3b/vizyaHwANhEzSR8WVYQvKeJ0FBhT1Uepzdwa5v0LmgIz0oSOo8QOTS8f5lS0XlV9x855Y180LA11TLqSJI70vio2I9zcHzZSh5cohD
- There are two big players on the market for factor investing solutions: MSCI & Blackrock. I recommend to go through their website, as one can find very valuable information there, amongst others:
https://www.blackrock.com/investing/literature/investment-commentary/risk-factor-investing-en-us.pdf
https://www.msci.com/factor-investing
https://www.msci.com/resources/pdfs/Deploying_Multi_Factor_Index_Allocations_in_Institutional_Portfolios.pdf
https://www.msci.com/documents/1296102/1336482/WhatFactorInvestingReallyMeans_reprint_LR.pdf/1bbcb7e8-d486-4181-9fa4-1af9197e0d1a
- FT article:
http://www.ft.com/cms/s/0/66c87b7a-a6fd-11e4-9c4d-00144feab7de.html#axzz3ptqrv9pu
- A few academic papers:
http://docs.edhec-risk.com/mrk/000000/Press/EDHEC-Risk_Publication_Risk_Allocation.pdf
http://uk.milliman.com/uploadedFiles/insight/2015/risk-factor-portfolio-management.pdf
https://www.callan.com/research/files/657.pdf
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3000 ₽
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Гарантия сервиса
Автор24
Автор24
20 дней
Заказчик принял работу без использования гарантии
29 октября 2015
Заказ завершен, заказчик получил финальный файл с работой
5
Risk factors based portfolio allocation and its implications for private investors.docx
2015-11-01 21:35
Последний отзыв студента о бирже Автор24
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Осталась очень довольна работой автора! работу сделала качественно, быстро, учла все пожелания! была всегда на связи!!! всем советую - обращайтесь к данному автору! мне она очень помогла)))
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